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Trade and Integration of the US and China’s Cotton Markets

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Author Info
Ge, Yuanlong
Wang, Holly
Ahn, Sung
Abstract

The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYBOT) and the Zhengzhou Commodity Exchange (CZCE) using several time series methods, we find a long-run cointegration relationship between these I(1) series. Furthermore, a bi-directional Granger Causality between these two futures markets is detected with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) error specifications. We also find the relationship is impacted by the Chinese exchange rate policy change in the 2005.

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Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN with number 36975.

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Date of creation: 2007
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Handle: RePEc:ags:aaea07:36975

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Related research
Keywords: cotton futures prices; cointegration; granger causality test; AR-GARCH; Agricultural Finance; Demand and Price Analysis; International Relations/Trade;

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